Sweetness by the pound: Sugar and currency correlations in pre-Brexit UK prices

Borsa Istanbul Review

Chase Christopher Cicchetti¹ 

[1] City Doctoral College, City of London UK;

关键词: Currency risk;    Commodity currency;    Sterling;    Sugar;    Pricing power;   

DOI  :  

来源: DOAJ

【 摘 要 】

In observing British pound spot prices and European sugar import prices over the 2004–2016 period, an unusually strong currency-commodity correlation is detected and statistically validated. This correlation is the result of a single firm dominating European refining, effectively fixing the import price to sterling. This paper proposes a generalized pricing-power detection framework based on currency-commodity correlation and corporate consolidation to efficiently detect such future instances, and to inform future industrial organization and currency-commodity research.

【 授权许可】

Unknown